You can loose meta data about the file, such as extended attributes and resource forks. OS X and Windows both provide APIs to preserve the metadata, which Sublime Text uses, but these won't work in all scenarios (e.g., over some network drives), and there's no equivalent on Linux. You can also get into trouble if editing a file in a directory with strange permissions, e.g., if it's setup to allow modifying existing files, but not create new ones.